I found some explanation that new version of VS has _ITERATOR_DEBUG_LEVEL set to 2 in Debug mode. It means that there are some extra security controls over iterators to detect memory leaks and other problematic stuff with iterators.

After longer research I came to realization that GDAL is compiled with /MD switch and my application wasn’t. The solution was easy. I just added /MD and Debug mode of app start working like a charm.

Defines _MT and _DLL so that both multithread- and DLL-specific versions of the run-time routines are selected from the standard .h files. This option also causes the compiler to place the library name MSVCRT.lib into the .obj file.
Applications compiled with this option are statically linked to MSVCRT.lib. This library provides a layer of code that allows the linker to resolve external references. The actual working code is contained in MSVCR71.DLL, which must be available at run time to applications linked with MSVCRT.lib.

Update 16.10. 2011

/MD solved problem, but there was another warning: Command line warning D9025: overriding ‘/MDd’ with ‘/MD’.

To solve Iterator issue for GDAL you need to compile DEBUG version of gdal.lib with switch /MDd instead of default /MD.

Just open nmake.opt file and replace /MD in lines with DEBUG definition by /MDd.